Stochastische Finanzmathematik I / Mathematical Finance I

The lecture will be held in English.


This is the first part of a one year course on financial mathematics. The objective of the course is to give an introduction to the probabilistic techniques required to understand the most widely used models of mathematical finance. The course is intended for undergraduate and graduate students in mathematics, but it might also be useful for students in economics and operations research.

Topics covered in the first semester are

  • Mathematical finance in one period models
  • Dynamic hedging in discrete time
  • Binomial tree models
  • Optimal stopping and American options
  • Introduction to continuous time models

The theoretical discussion of the models will be accompanied by practical option pricing examples utilizing the open source QuantLib financial library.

Lecture: Lecture is held in English and online via Zoom:

  • Fr., 9:15 - 10:45 and 11:00 - 12:30 (Sebastian Schlenkrich)

Exercise: Exercise is held in German/English on-site, RUD25, R. 3.006:

  • Mo., 13:00 - 15:00 (Evgueni Kivman)

First lecture is on Friday, Oct. 22, 2021. First exercise is on Monday, Oct. 25, 2021.

The lecture will be managed via Moodle. Please sign in to the Moodle course. If you cannot sign in to the Moodle course please get in touch via e-mail.

Zoom link for lecture will be provided via Moodle course pages.

A script and lecture slides will be provided online. Most parts of the course follow

  • Hans Föllmer / Alexander Schied: Stochastic Finance: An Introduction in Discrete Time, De Gruyter Textbook (2011), 

which is available online via HU network.

Recommended requirements: 

Analysis I+II; Lineare Algebra I+II; Stochastik I+II, (Stochastik II can be attended in parallel to this course)